【英语财经】美国国债市场面临流动性担忧 US Treasuries hit by liquidity concerns

Investors are asking themselves a question that until recently had never been up for debate: how “liquid” are US Treasuries?

With $12.6tn of debt outstanding and more than $500bn changing hands daily, US Treasuries are considered the bedrock of global finance; but concerns about liquidity — the ability to buy and sell an asset in large size without affecting its price — are widespread.

For many, the wake-up call came on October 15 last year, when the yield on the 10-year US Treasury bond, which moves inversely to price, plummeted 34 basis points in early-morning trading. Banks pulled back from quoting prices, while other traders reduced their presence during the most extreme moments of turmoil, impairing the ability of investors to transact cash bonds.

It did not last long. Yields rebounded sharply, ending the day not far from where they began. But it was a sign of what can happen and attention has since turned to the potential for a repeat event, especially as the Federal Reserve prepares to raise interest rates.

“There will be discontinuous pricing,” says Richie Prager, head of trading and liquidity strategies at asset manager BlackRock. “Anyone who doesn’t expect some sort of discontinuous pricing as interest rates normalise, as volatility returns, is really just not realistic.”

Some fear that bond funds will be at the mercy of their clients, facing severe redemptions as rates rise, forcing them to liquidate portfolios to return clients’ cash. Most hold liquid assets, such as US Treasury bills and other types of short-term debt, for this purpose.

But a stampede for the exit could see many asset managers needing to sell at the same time, leading to volatile price movements. “You have a bucket of Treasuries that is presumed to be liquid and then suddenly it isn’t,” says Henry Peabody, portfolio manager at Eaton Vance. “That shakes the whole institution of Treasury trading.”

It’s a paradigm shift for investors that have long accepted low returns for buying the US government’s debt on the assumption it was a “safe” asset. For the time being, investor demand is strong, with mutual funds holding about 10 per cent of all Treasury securities outstanding. Sentiment suggests that, without the guarantee of liquidity, or a higher rate of return, the asset becomes less desirable. Some investors say they have begun to price in a “liquidity premium” for holding Treasuries — a concept previously reserved for corporate debt.

At the centre of the rapid evolution is the retrenchment by banks across fixed income, altering the relationship between dealers and clients. Primary dealer holdings of high-grade debt, including Treasuries, mortgage-backed securities and corporate bonds, have fallen from $524bn at the end of 2007 to $170bn today, according to Federal Reserve data.

Anecdotally, traders say they used to step in during volatile price swings to help clients, aiming to secure more business for when markets were calm.

“Why do I want to step in and lose money when I’m not making money the rest of the time,” says a fixed income head at a European bank.

Unlike corporate bonds, trading in Treasuries remains mainly dealer to client. Investors have noted the decline and it is forcing a shift in behaviour.

Some have gone directly to the US Treasury auctions, rather than banks, to purchase bonds. Dealer participation in auctions for new Treasury securities has fallen from an average of 53 per cent in 2010 to 37 per cent so far this year, according to the data. Investment funds lifted participation from 21 per cent to 41 per cent in the same period.

It is also possible to avoid a liquidity squeeze just by holding more cash. Fund managers’ cash holdings are at their highest level since December 2008, says Bank of America Merrill Lynch. But holding large buffers can have a negative effect on performance for the fund, which could be investing that cash in higher-yielding assets.

A similar effect can be achieved by increasing banks’ credit lines. This is a shift from a “decades-long assumption” in Treasury markets, adds Mr Peabody. “It requires a level of vigilance that hasn’t been needed in the past.”

投资者正在问自己一个以往不需要辩论的问题：美国国债的“流动性”有多好？

美国未清偿国债规模高达12.6万亿美元，日换手逾5000亿美元，被视为全球金融的基石，但现在市场普遍担心其流动性——买卖大笔资产而不会影响其价格的能力。

对许多人而言，警钟在去年10月15日敲响，当日10年期美国国债收益率（与价格走势相反）在早盘暴跌34个基点。银行暂停报价，同时其他交易员在波动最剧烈期间缩减运作，影响了投资者交易现货债券的能力。

这种情况并未持续太久。收益率强劲反弹，最终收于开盘价附近。但这是一个说明可能发生什么情况的迹象，自那以后市场开始注意类似事件重演的可能性，尤其是在美联储(Fed)准备加息之际。

资产管理公司贝莱德(BlackRock)交易和流动性策略主管里奇?普拉格(Richie Prager)表示：“将会出现不连续定价。随着利率正常化，随着波动性回归，如果有人不预计会出现某种不连续定价，那是不现实的。”

一些人担心，债券基金将可能受到客户行为的冲击，随着利率上调，它们可能遭遇大规模赎回，迫使它们抛售投资组合以返还客户现金。出于这个目的，大多数债券基金持有流动性资产，比如美国国债和其他类型的短期债务。

但是，一窝蜂退场可能意味着许多资产经理人同时抛售，导致价格走势出现波动。亿廷繁世(Eaton Vance)的投资组合经理亨利?皮博迪(Henry Peabody)表示：“你有一批被视为高流动性的美国国债，随后它却突然没有流动性了。这对整个国债交易机制造成了冲击。”

对长期认为美国国债是“安全”资产、因而接受较低收益率的投资者来说，这是个范式转变。就现在而言，投资者需求强劲，共同基金持有量占到所有未清偿国债证券的10%左右。市场情绪似乎表明，如果没有流动性保证，也没有更高的回报率，美国国债的吸引力就会下降。一些投资者表示，他们已开始对持有美国国债计入“流动性溢价”——此前这个概念只适用于企业债券。



这一快速演变的核心是，银行在固定收益领域全线收缩，改变了交易商与客户之间的关系。美联储数据显示，一级交易商持有的高评级债务（包括国债、抵押贷款支持证券和企业债券）从2007年末的5240亿美元下降至现在的1700亿美元。

在非正式层面，交易员表示，他们过去会在价格波动期间帮助客户，目的是在市场稳定时争取更多业务。

一家欧洲银行的固定收益主管表示：“当我在其他时间不赚钱的时候，我为何希望入场亏钱？”

与企业债券不同，国债交易依然主要是交易商对客户的交易。投资者已注意到交易减少，这种情况正迫使投资者改变行为。



一些人直接参与美国国债拍卖、而非通过银行购买债券。数据显示，参与新的国债证券拍卖的交易商比例已从2010年的53%降至今年迄今的37%。同期投资基金的参与比例从21%升至41%。

投资者也可能通过持有更多现金来避免流动性紧张局面。美银美林(Bank of America Merrill Lynch)表示，基金公司的现金持有量处于2008年12月以来的最高水平。但持有大量现金可能对基金业绩产生负面影响——基金本来可以将这些现金投资于较高收益率的资产。

增加银行信贷额度也可以取得类似效果。亿廷繁世的皮博迪补充称，这是国债市场“持续数十年之久的假设”的转变。“这要求人们具备以往不需要的一定程度的警觉”。

译者/邹策